THE COMPUTER GUYS - Set Caps Lock Alert
Make it Beep:
1. Click on the Start button, Settings, Control Panel
(XP Users: Start button, Control Panel). Open the Accessibility Options Icon.
2. On the Keyboard tab, click the "Use Toggle Keys" checkbox.

 Make it Flash:
 1. Go to the Accessibility Options screen, and click the Sound tab. Check the "Use SoundSentry" checkbox.
2. Click the Settings button and select "Flash active window" from the "Warning for windowed programs" drop down box.

Done:
 Hit OK and clear all the property and settings screens.
 
 NOTE: If you don't have an Accessibility Options icon in your Control Panel - Get out your Windows CD.
Install the Option by hitting Start, Settings, Control Panel. Add / Remove programs, and click the Windows Setup tab.
Look through the components and Add it.